Critical System Updates

New iLink Architecture

In Q1 2014, CME Group launched the first Phase of new iLink Architecture, Market Segment Gateway (MSGW) for TAS markets only. In Q1 2015, CME Group will launch Phase 2 of this initiative, which will implement Market Segment Gateways throughout the rest of the iLink infrastructure, to provide:

FIFO ordered message handling per market segment.

Elimination of variability associated with multiple sessions across multiple gateways.

The Phase 2 launch will allow customers to access the Market Segment Gateways directly which will involve a new session ID model, messaging and functionality changes. Customers may choose to access CME Globex markets through the MSGWs or the current Convenience Gateways (CGWs), which will continue to be supported and will route through the MSGWs.

Phase 2 will be launched over several weekends. Prior to each launch weekend, CME Group will conduct a mock trading session. MSGWs will be available in New Release for customer testing in Q4 2014. A new MSGW certification suite will be available in AutoCert+ in Q4 2014. Customer systems who want to connect directly to the MSGW must complete this mandatory certification. Additional information on the MSGW launch schedules and mock trading sessions will be published in the CME Globex Notices.

New iLink Failover Process

Beginning in October 2014, CME Group will introduce a new iLink failover process to improve customers’ ability to recover from a CME Globex component failure.

When a CME Globex component fails over from the primary to backup instance, customer iLink messages will be rejected with Session Level Reject (tag 35=3) messages including tag 58=Technical Error – Market Segment: <MarketSegmentID> is not available at this time. After the backup instance is up, order entry will be allowed again.

Currently messages sent during failover are not guaranteed to be acknowledged by CME Globex. This new iLink Failover Process change will affect all iLink sessions.

Detailed information including this failover behavior change is now available online.

The new iLink failover process will be available for customer testing in New Release in September.

Further details on the launch schedule will be published in future CME Globex Notices.

New CME Globex Market Data Protocol

Beginning on September 28, 2014 (trade date Monday, September 29), CME Group will introduce Market Data Platform (MDP) 3.0, a low latency and direct data access solution designed to improve customers' ability to process and act on real-time price information. The new MDP 3.0 Channels will run in parallel with the current FIX/FAST Channels for six months after completion of the rollout of all MDP 3.0 channels.

The new Market Data Platform implementation will occur according to the following schedule:

The final version of the MDP 3.0 protocol with Trade Summary Message is currently available for customer testing in New Release.

The MDP 3.0 AutoCert+ certification suite is now available for customer testing in New Release.

The config.xml file for the Production Environment is now available on the CME Group ftp site. The file contains the Source and Multicast IP addresses for the Production Market Data Channels. It will not contain the Product or Group Codes until the channels start receiving messages on their scheduled production date.

A new version of the Schema file, Version 5, is currently available for the New Release Environment.

The only change will be an adjustment of the encoding of the second group dimension, NoOrderIDEntries (tag 37705), of the Market Data Incremental Refresh Message (tag 35-MsgType=X), so that this repeating group entry begins on an 8-byte boundary.

MDP 3.0 Decoder

Real Logic Ltd. and Informatica have collaborated to create open source tools that provide extensive support for Simple Binary Encoding (SBE), the messaging standard developed through the Financial Information Exchange (FIX) Trading Community. The SBE decoders will create an environment that can be used directly by customers or treated as a reference implementation that can be extended into custom solutions tailored to individual customer's needs. The information and tool are open to the public under an Apache Public License and available here.

iLink and Drop Copy Enhancements for MDP 3.0 Trade Summary Message

Starting Sunday, September 28 (trade date Monday, September 29), and following the production launch of MDP 3.0 channels, iLink will introduce opt-in functionality for displaying tag 37-OrderID in the MDP 3.0 trade summary message (tag 35-MsgType=X). Tag 37-OrderID is the anonymous, CME Globex-assigned order identifier.

Customers may choose to opt-in their orders using the FPL-defined FIX tag 1091-PreTradeAnonymity. The Trade Summary message, which announces the trade to the marketplace, will include tag 37-OrderID values for orders where tag 1091=N. Tag 37-OrderID values will be published on market data for trades only.

Drop Copy will also support the new tag 1091-PreTradeAnonymity at launch.

The new iLink tag 1091-PreTradeAnonymity can be submitted on the following messages:

New Order (tag 35-MsgType=D)

Order Cancel/Replace Request(tag 35-MsgType=G)

New Order Cross (tag 35-MsgType=s)

Mass Quote (tag 35-MsgType=i)

Tag 1091-PreTradeAnonymity will be returned on the following iLink messages only when a valid value is sent on the originating message:

Defines whether the tag 37-OrderID will be included in the Trade Summary message in MDP 3.0.
If tag is not sent or sent with “Y”, tag 37-OrderID value will not appear in the Trade Summary message.
If tag is sent with “N”, tag 37-OrderID will appear in the Trade Summary message.

If the tag 1091-PreTradeAnonymity value exceeds the max length of 1 byte, New Orders and Order Cancel/Replace Requests will be rejected with a Session Level Reject (35=3) and Mass Quotes and New Order Cross will be rejected with a Business Level Reject message (35=j) with tag 380-BusinessRejectReason = 0. Any invalid value will be ignored and the tag 37-OrderID will not be displayed in the Trade Summary message.

TOP Order Allocation Minimum/Maximum Quantity Changes

Effective Sunday, October 5 (trade date Monday, October 6), pending regulatory approval, the TOP order allocation maximum quantity will be changed for the following Interest Rate products.

This change is designed to harmonize TOP behavior across the CME Group Interest Rate futures. This match algorithm enhancement is currently available in the New Release Environment for customer testing.

TOP Order Allocation Quantity Changes

Instrument

FIX/FAST and iLink: tag 1151-Security Group
MDP 3.0: tag 6937-Asset

Strategy Type

TOP Order Allocation Minimum Current

TOP Order Allocation Minimum Future

TOP Order Allocation Maximum Current

TOP Order Allocation Maximum Future

30-Day Fed Funds Futures

ZQ

Outrights
Spreads (SP, BF, CF, FS)

25

1

250

30000

2-Year U.S. Treasury Note Futures

ZT

Outrights
Butterfly Spreads ( BF)

1

1

1500

19999

ZT

Standard Calendar Spread (SP)

1

1

1500

29999

3-Year U.S. Treasury Note Futures

Z3N

Outrights
Butterfly Spreads ( BF)

1

1

1500

19999

Z3N

Standard Calendar Spread (SP)

1

1

1500

29999

5-Year U.S. Treasury Note Futures

ZF

Standard Calendar Spread (SP)

1

1

2500

29999

ZF

DSF-Treasury Spread (DI)

1

1

2500

29999

10-Year U.S. Treasury Note Futures

ZN

Reduced Tick Calendar Spread (RT)

1

1

2500

29999

ZN

DSF-Treasury Spread (DI)

1

1

2500

29999

U.S. Treasury Bond Futures

ZB

Reduced Tick Calendar Spread (RT)

1

1

2500

29999

Ultra T-Bond Futures

UB

Reduced Tick Calendar Spread (RT)

1

1

2500

29999

UB

DSF-Treasury Spread (DI)

1

1

2500

29999

This change is designed to harmonize TOP behavior across the CME Group Interest Rate futures. This match algorithm enhancement is currently available in the New Release Environment for customer testing.

New - Drop Copy 4.0 Implementation

In Q1 2015, CME Group will introduce a new Drop Copy implementation to provide further consistency across iLink and Drop Copy. The new Drop Copy 4.0 implementation will have both functional and messaging changes as compared to the existing Drop Copy service.

To migrate to the new Drop Copy service, customers will be offered the ability to compare the new and the existing Drop Copy service implementations. Customers will be able to choose one Drop Copy Convenience Gateway (CGW) target session per Drop Copy group to compare it in parallel to a new Drop Copy group CGW target session. Customers need to coordinate migration efforts with their account manager to complete the full Drop Copy migration to the new Drop Copy Group(s). Customers can request Drop Copy CGW and/or Drop Copy MSGW target sessions.

Certification and New Release Drop Copy sessions will be re-issued by your to Global Account Manager upon customer request.

A new Drop Copy certification suite will be available in AutoCert+. Customer systems leveraging the Drop Copy service must complete this mandatory certification.

Certification environments for customer testing will be available in Q4 2014.

Please contact your Global Account Manager with any questions or concerns in the U.S. at +1 312 634 8700, in Europe at +44 203 379 3754 or in Asia at +65 6593 5505 for additional information.

Eurodollar Bundle Futures and Options

Effective Sunday, September 21 (trade date Monday, September 22), the following Eurodollar Bundle futures and options will be listed for trading on CME Globex, open outcry and for submission for clearing through CME ClearPort.

With this change, the Wheat-Corn intercommodity spread on CME Globex will be consistent with the Wheat-Corn spread construction on open outcry and consistent with the orientation of the CBOT Wheat-Corn intercommodity spread option.

The Wheat-Corn intercommodity spread reflects one Wheat futures contract of a specified maturity, and one opposing Corn futures contract of a maturity month. The Wheat-Corn intercommodity spread will be calculated as the Wheat futures price in centsper bushels – the Corn futures price in centsper bushels.

To facilitate these changes, customers are asked to cancel all Good 'Till Cancel (GTC) and Good 'Till Date (GTD) orders for the impacted spread after their close on Friday, September 5. After 16:00 CT on Friday, September 5, all remaining GTC and GTD orders for these spreads will be cancelled by the CME Group Global Command Center (GCC).

Matching Algorithm Harmonization for Equity Products

Effective Sunday, September 21 (trade date Monday, September 22), pending regulatory approval, the CME Globex match algorithm for the following equity products will be modified "F" FIFO to be consistent with other CBOT and CME equity products.

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CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.